__author__ = 'Austin Ouyang'
from util.statemachine import StateMachine
from util.transitions import Transitions
from util.backtest import Backtest
from util.setup_backtest import *
import cProfile
import pstats
if __name__ == "__main__":
m = StateMachine()
t = Transitions() # next state functions for state machine
m.add_state("initialize", t.initialize_transitions)
m.add_state("load_daily_data", t.load_daily_data_transitions)
m.add_state("check_orders", t.check_orders_transitions)
m.add_state("update_range_bar", t.update_range_bar_transitions)
m.add_state("compute_indicators", t.compute_indicators_transitions)
m.add_state("check_strategy", t.check_strategy_transitions)
m.add_state("check_range_bar_finished",
t.check_range_bar_finished_transitions)
m.add_state("show_results", t.write_results_transitions)
m.add_state("finished", None, end_state=1)
m.set_start("initialize")
bt = Backtest()
set_backtest_options(bt)
cProfile.run('m.run(bt)', 'backtest_profile')
__author__ = "Austin Ouyang"
from util.statemachine import StateMachine
from util.transitions import Transitions
from util.backtest import Backtest
from util.setup_backtest import *
import cProfile
import pstats
if __name__ == "__main__":
m = StateMachine()
t = Transitions() # next state functions for state machine
m.add_state("initialize", t.initialize_transitions)
m.add_state("load_daily_data", t.load_daily_data_transitions)
m.add_state("check_orders", t.check_orders_transitions)
m.add_state("update_range_bar", t.update_range_bar_transitions)
m.add_state("compute_indicators", t.compute_indicators_transitions)
m.add_state("check_strategy", t.check_strategy_transitions)
m.add_state("check_range_bar_finished", t.check_range_bar_finished_transitions)
m.add_state("show_results", t.write_results_transitions)
m.add_state("finished", None, end_state=1)
m.set_start("initialize")
bt = Backtest()
set_backtest_options(bt)
cProfile.run("m.run(bt)", "backtest_profile")
def main(*args):
m = StateMachine()
t = Transitions() # next state functions for state machine
m.add_state("initialize_state", t.initialize_transitions)
m.add_state("single_unmarked_state", t.single_unmarked_transitions)
m.add_state("matching_pairs_in_zone_state", t.matching_pairs_in_zone_transitions)
m.add_state("matching_pairs_in_row_state", t.matching_pairs_in_row_transitions)
m.add_state("matching_pairs_in_col_state", t.matching_pairs_in_col_transitions)
m.add_state("single_in_zone_state", t.single_in_zone_transitions)
m.add_state("single_in_row_state", t.single_in_row_transitions)
m.add_state("single_in_col_state", t.single_in_col_transitions)
m.add_state("show_results_state", t.show_results_transitions)
m.add_state("stuck_state", t.stuck_transitions)
m.add_state("error_state", t.error_transitions)
m.add_state("finished_state", None, end_state=1)
m.set_start("initialize_state")
if len(args) == 1:
filename = args[0]
else:
if len(args) > 1:
print "Too many input arguments."
filename = raw_input("Enter path of csv file: ")
m.run(filename)
def run_backtest_callback(self):
m = StateMachine()
t = Transitions() # next state functions for state machine
m.add_state("initialize", t.initialize_transitions)
m.add_state("load_daily_data", t.load_daily_data_transitions)
m.add_state("check_orders", t.check_orders_transitions)
m.add_state("update_range_bar", t.update_range_bar_transitions)
m.add_state("compute_indicators", t.compute_indicators_transitions)
m.add_state("check_strategy", t.check_strategy_transitions)
m.add_state("check_range_bar_finished",
t.check_range_bar_finished_transitions)
m.add_state("show_results", t.write_results_transitions)
m.add_state("finished", None, end_state=1)
m.set_start("initialize")
self.bt.instr_name = str(self.comboBox_instrument.currentText())
self.bt.RANGE = int(self.spinBox_range.value())
self.bt.init_day = str(self.dateEdit_start_date.date().toString(
"yyyy-MM-dd")) + " 17:00:00"
self.bt.final_day = str(
self.dateEdit_end_date.date().toString("yyyy-MM-dd")) + " 16:59:59"
#self.bt.log_intrabar_data = self.checkBox_log_intrabar_data.isChecked() # setting true can significantly slowdown backtesting
#self.bt.write_trade_data = self.checkBox_write_trade_data.isChecked()
#self.bt.trade_data_root = '/home/aouyang1/Dropbox/Futures Trading/FT_QUICKY_v3/BASE (copy)'
#self.bt.write_bar_data = self.checkBox_write_bar_data.isChecked()
#self.bt.bar_data_root = '/home/aouyang1/Dropbox/Futures Trading/Backtester/FT_QUICKY_GC_BASE'
cProfile.runctx('m.run(self.bt)', globals(), locals(),
'backtest_profile')
self.bar_len = self.bt.range_bar.cnt
self.tabWidget.setTabEnabled(1, True)
print " "
p = pstats.Stats('backtest_profile')
p.strip_dirs().sort_stats('cumulative').print_stats('transitions')
self.horizontalScrollBar_range_bar.setMaximum(self.bar_len -
self.bars_in_view)
self.horizontalScrollBar_range_bar.setPageStep(self.bars_in_view)
self.horizontalScrollBar_range_bar.setValue(self.bar_len -
self.bars_in_view)
self.plot_bars()
def run_backtest_callback(self):
m = StateMachine()
t = Transitions() # next state functions for state machine
m.add_state("initialize", t.initialize_transitions)
m.add_state("load_daily_data", t.load_daily_data_transitions)
m.add_state("check_orders", t.check_orders_transitions)
m.add_state("update_range_bar", t.update_range_bar_transitions)
m.add_state("compute_indicators", t.compute_indicators_transitions)
m.add_state("check_strategy", t.check_strategy_transitions)
m.add_state("check_range_bar_finished",
t.check_range_bar_finished_transitions)
m.add_state("show_results", t.write_results_transitions)
m.add_state("finished", None, end_state=1)
m.set_start("initialize")
self.bt.instr_name = str(self.comboBox_instrument.currentText())
self.bt.RANGE = int(self.spinBox_range.value())
self.bt.init_day = str(self.dateEdit_start_date.date().toString(
"yyyy-MM-dd")) + " 17:00:00"
self.bt.final_day = str(
self.dateEdit_end_date.date().toString("yyyy-MM-dd")) + " 16:59:59"
#self.bt.log_intrabar_data = self.checkBox_log_intrabar_data.isChecked() # setting true can significantly slowdown backtesting
#self.bt.write_trade_data = self.checkBox_write_trade_data.isChecked()
#self.bt.trade_data_root = '/home/aouyang1/Dropbox/Futures Trading/FT_QUICKY_v3/BASE (copy)'
#self.bt.write_bar_data = self.checkBox_write_bar_data.isChecked()
#self.bt.bar_data_root = '/home/aouyang1/Dropbox/Futures Trading/Backtester/FT_QUICKY_GC_BASE'
cProfile.runctx('m.run(self.bt)', globals(), locals(),
'backtest_profile')
self.bar_len = self.bt.range_bar.cnt
self.tabWidget.setTabEnabled(1, True)
print " "
p = pstats.Stats('backtest_profile')
p.strip_dirs().sort_stats('cumulative').print_stats('transitions')
self.horizontalScrollBar_range_bar.setMaximum(
self.bar_len - self.bars_in_view)
self.horizontalScrollBar_range_bar.setPageStep(self.bars_in_view)
self.horizontalScrollBar_range_bar.setValue(
self.bar_len - self.bars_in_view)
self.plot_bars()
